CFA Society Netherlands presents the fourth in the annual series of Best Practices Seminars. The 2016 edition will focus on Best Practices​​​ in Portfolio Construction and will be held on 13 October 2016.

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The backdrop of the seminar is today's challenges in portfolio construction. How do we make investment returns in a low-yield environment, with time varying return drivers and central banks actively interfering with markets? Will future returns, in different regimes, be enough to cover liabilities? Guided by recent survey by State Street Global Advisors, the seminar will take you through a low-historical and academic overview of asset allocation models (60/40, endowments, risk parity) and discuss the latest portfolio construction insights based on regime analysis.

The seminar will feature an asset manager with an outspoken philosophy and actual investment experience in regime analysis. We will delve deeper into questions such as: what are regimes, why do they matter, and how to identify regimes? How to invest in the presence of regimes, and how to deal with short-term focus vs long-term regimes?

We will continue to explore what we can learn from the application of regime analysis to other professions outside the investment world, such as weather forecasting (El Nino), biology (ant colonies) and technology sectors (oil and gas).

Finally, we will learn to apply regime analysis for our own portfolios. The last session of the seminar will showcase where to start with regime analysis and what tools are publicly available. We will learn how to explain the impact of regimes on our portfolio, especially when moving beyond static exposure analytics and look for a deeper understanding of actual risk exposures and return drivers.​​

Our Speakers

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Moderator: Niall O'Leary, Managing Director at State Street Global Advisors and Head of EMEA Portfolio Strategy

Introduction to today’s challenges in Portfolio Management​

Niall has
responsibility for a team of experienced investment professionals whose role is
to assist in the development, marketing and maintenance of a range of
investment strategies including equities, fixed income, currency and cash.
Prior to taking on this role he was Head of Fixed Income and Cash at SSGA
Ireland, and prior to joining SSGA Ireland, he was a senior manager at Bank of
Ireland's international corporate banking business. Niall has been working in
the banking, finance and investment industries since 1988.Niall holds a
Commerce Degree and a Masters in Business Studies from University College
Dublin.

Download the Survey: ​Building Bridges​, by State Street Global Advisors and FT Remark.

Asset
Allocation in a dynamic world starting from a low yield environment​​

Roy is Portfolio
Manager and member of the Allocation Committee at Blenheim Capital Management.
He focuses on the systematic investment strategies and volatility trading and
has extensive expertise in asset allocation. Before joining Blenheim in 2012,
Roy worked at APG AM as Senior Portfolio Manager of the GTAA fund, where he
developed the cross-asset systematic absolute return strategies. Roy has been working in the investment
industry since 2001. Roy holds
a PhD in Financial Econometrics in the field of Strategic Asset Allocation, and
a MSc degree in Econometrics and Operations Research from Maastricht University.
Roy is a lecturer in derivatives and asset allocation at post-graduate courses.
He has published book chapters and articles in refereed international journals
on various topics including asset allocation.

Roy will enlighten us on "Asset Allocation in a dynamic world starting from a low yield environment":

* Low yields and negative correlations between equities and bonds - What are the implications for asset allocation?

* Evolution of best practices in asset allocation: what have we learned over the years?

* Is there a role for dynamic allocation and a factor approach for long-term investors?

Managing Portfolios Across Economic Regimes: “The End of the Monetary Super-Cycle and its Implications for Investors”

Jeff is a senior member of the research group with expertise in portfolio structuring and the foreign exchange, interest rate, commodity, and equity markets. Jeff also works with Bridgewater’s clients to develop investment strategies that meet their objectives and to provide insight into the research group’s thinking on global markets and economic conditions. He has been with the firm since 1995. Jeff received a B.S. in Mechanical Engineering and Management Science from the Massachusetts Institute of Technology and an M.S. in Mechanical Engineering.​

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Jeff's presentation will address: "Managing Portfolios Across Economic Regimes: The End of the Monetary Super-Cycle and its Implications for Investors.”​ "For most of the last 45 years, the
economies and markets of the developed world have benefitted from the tailwind
of secularly rising debts and falling interest rates. This virtuous
period is reaching its logical end, with now very high levels of debt paired
with zero/negative interest rates. The ending of this “Monetary
Super-cycle,” implies weaker growth, limited ability to stimulate for central
banks, and low low-term asset returns. Together with changing
demographics and large and often unfunded promises coming due in future years,
this sets up a gradually increasing financial squeeze for individuals and
governments that will likely have significant social and political implications
as well as economic implications.​"

Watch this Space: a link to the content of Jeff's presentation will be made available shortly.

Jean-Maurice Ladure is Executive Director and Head of Equity Applied Research, EMEA at MSCI

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How
can stress testing help in assessing regime impact on your portfolio?​

Jean-Maurice has
responsibility for research to support new and existing indexes and risk
models, including factor and economic exposure indexes, as well as performance
and risk attribution. He also serves as an ambassador to asset owners and
managers on the role of indexes and factor models in asset allocation and
portfolio construction. Prior to joining MSCI, he held a number of roles at
Coutts, the private bank of RBS, Barclays Wealth and BNP Paribas Asset
Management. Jean-Marie has been working in the investment industry since 1997. Jean-Maurice
holds a Masters degree in Economics and Statistics from ENSAE in France and is
a CFA charter holder and a French actuary.​​

Jean-Maurice will share with us MSCI’s
Best Practices in stress testing and illustrate how stress testing helps to
assess the risks in a global diversified portfolio.
Jean-Maurice: "Analysing historical performance in changing
economic environment is a good first step towards establishing a structured
asset allocation framework explicitly incorporating macroeconomic views. But
institutional investors should also assess their portfolio response to
unprecedented macroeconomic shocks that potentially carry an uncertain impact
on growth and inflation."

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Best Practices Series

​The CFA Society Netherlands Best Practices Series is an opportunity for investment insight, reflection and networking in a professional environment and will be interesting and beneficial to investors, financial analysts, regulators, politicians and academia. Prior Best Practices events have covered ESG investing and Behavioral Finance. The afternoon is interactive with ample opportunity to ask questions and to share your views with the audience. All are welcome.​